"At the end of the day, you have to ask yourself if the job you're thinking about going for is better than the one you have, and can you do more?" McCaskill says.

McCaskill, who has served in the U.S. Senate since 2007, says she's achieved "significant seniority" in Washington, D.C. She says continuing her work there was more important than "checking the box" of possibly becoming Missouri's first female governor.

She says her decision wasn't driven by poll numbers, as she's actually polling pretty well right now among Missouri statewide office holders.

McCaskill, who lost a bid for governor in 2004 against Republican Matt Blunt, did not rule out a possible run after 2016.